@luxor Unfortunately I can't use your data as formated. But I will look into it. Challenge Download the data for the S&P 500 e-mini Apply your favorite trading system - post your results. My Trading System produces an average daily percent return of 14%. When I compound the profits, the netPL (after all real expenses) is $25,962 - starting with 2 contracts and ending with 4 contacts. I manage the slip - ie. I anticipate what it is and structure my entry to (all but) eliminate its effects. Worst draw down was 21% starting on 7/23/10 Oh yea, and this is one of my conservative models Real money is within 3.24 percent of analyzed results. I trade 15% of my account value.
Oh Yea, At the end of a contract period I sweep my account, moving the funds to something more conservative - and then I start over. The entry signal is generated by evaluating the intersection of two EMAs based on the first differential of the price (slope). The relationship of these two curves to each other and their relationship to 0 slope gives me a way to codify trend and congestion. Once I am in a trade, my app automatically manages all trade setup parameters which include; Trailing Stop (uses a parabolic SAR) Protective Stop Break Even Point with activation trigger Scale Out at 50% Trade Limit Loss at 35% I use a 3 minute chart because it smooths volatility. Loosing trades run almost 2 times the number of winning trades (I am trying to do better) Trade duration however is the opposite - I stay in a winning trade twice+ as long as a loosing trade. ....Why so much information....just in case you thought I was BSing you. Anyway....
i agree when you are building yoru method and honing your discipline..a certain amount of hour are probably necessary....when i built my trading systems i was a small trader by day and a full time qc engineer for DENSO at night...and also typically i networked the engineering computers to run tests at night to test my ideas...i did this for 2 years.. then i got a job at an MA firm for 2 years and kept my night job as the QC engineer. so...in 4 years i probably put in 18 hours a day for 4 years. HOWEVER..and read this...the 80/20, 90/10 rules still apply. now my typical trading day lasts from 4am pst to 9 am pst..generally thats about 4 hours or maybe 5 of really focused effort PERDAY now. I have computerized, outsourced and eliminated the "fluff" . You can choose to work 40 or 50 horus per week if you want....heck some people even lose money cause it somehow validates them to others in this business...but i don't. Im not telling you what to do...Im just telling you what i do.
PS im done for the day 1.5% return on buying power thats 16% return on equity for the day. all opened and closed today.
One more thing, It took 3 years to develop the app It took 1 year to test the system(s) This profession is not simple - but the payoff can be rewarding. Hang in there and Good Luck.
All the good money management in the world won't do you any good if you don't have an edge. (At best it will allow you to lose money slowly rather than quickly.) The OP's lament is that he has not been able to find an edge. If and when he does find an edge and has calculated the probability of success for each type of trade he does *then* he can worry about money management.
Reread the OP's post: "None of the systems actually generated more profits than losses over time, even by reversing buy and sell orders against the signal/pattern." So even reversing the trades didn't make money.
I am amazed at the number of post intended to belittle people. Maybe the folks doing it are trying to pump up there egos, because their actual trading results are dismal. If you have useful knowledge and valuable expertise then share it.